Large deviations and fast simulation in the presence of boundaries.

DOI10.1016/S0304-4149(02)00152-7zbMath1075.60576OpenAlexW2035002659MaRDI QIDQ2574516

Manfred Jobmann, Hans-Peter Schwefel, Pascal Fuckerieder, Soren Asmussen

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00152-7

zbMATH Keywords

reflectionimportance samplinglocal timeregenerative processLévy processqueueing theoryexponential change of measurerare eventbuffer overflowsaddlepointfiltered Monte Carlo

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Queueing theory (aspects of probability theory) (60K25)

Related Items (3)

Rare-event analysis and simulation of queues with time-varying rates ⋮ Estimation of the realized (co-)volatility vector: large deviations approach ⋮ Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary

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